DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Jihee | - |
dc.contributor.advisor | 김지희 | - |
dc.contributor.author | Jo, Yonghwan | - |
dc.date.accessioned | 2019-08-22T02:40:15Z | - |
dc.date.available | 2019-08-22T02:40:15Z | - |
dc.date.issued | 2018 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=827862&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/264590 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 기술경영학부, 2018.8,[iii, 79 p. :] | - |
dc.description.abstract | In this study, I study futures markets with respect to empirical asset pricing and international finance. In the first essay, I show that short-term funding liquidity risk in the Chinese interbank system affects global commodity markets. To circumvent capital controls, investors in China import commodities, collateralize them, and invest in high-yielding shadow banking products. I examine how the risk of the shadow banking products affects commodity markets. Specifically, due to maturity mismatch problems of these products, I focus on funding liquidity risk. I find the strong empirical support that this liquidity risk affects commodities futures risk premiums. Moreover, I show, as expected, that this impact is stronger for metal commodities as they are better suited as collateral. In the second essay, I re-examine the time series momentum anomaly in order to resolve several issues raised in a previous study. I first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. I also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, I show that the time series momentum has continued to show this anomaly in recent years. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Asset pricing▼afutures pricing▼ainternational financial markets▼acommodity markets▼achinese interbank markets▼achinese shadow banking systems▼amaturity mismatch risk▼atime series momentum▼avolatility scaling | - |
dc.subject | 자산 가격 결정▼a선물 가격 결정▼a국제 금융 시장▼a원자재 시장▼a중국 은행▼a중국 그림자 금융▼a만기불일치 위험▼a시계열 모멘텀▼a변동성 비례법 | - |
dc.title | Essays on asset pricing and international finance | - |
dc.title.alternative | 자산 가격 결정 및 국제 금융 연구 : 선물 시장의 리스크 프리미엄에 대해 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :기술경영학부, | - |
dc.contributor.alternativeauthor | 조용환 | - |
dc.title.subtitle | (the) risk premium in the futures markets | - |
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